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Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - In: Finance and stochastics 4 (2000) 2, pp. 161-187

Persistent link: https://www.econbiz.de/10001486701

Superreplication in stochastic volatility models and optimal stopping

Frey, Rüdiger - 1998

Persistent link: https://www.econbiz.de/10000993233

Valuation of stock loans with jump risk

Cai, Ning; Sun, Lihua - In: Journal of economic dynamics & control 40 (2014), pp. 213-241

Persistent link: https://www.econbiz.de/10010424378

Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions

Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525

Persistent link: https://www.econbiz.de/10003909291

Boundary evolution equations for American options

Mitchell, Daniel; Goodman, Jonathan; Muthuraman, Kumar - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 505-532

Persistent link: https://www.econbiz.de/10010486015

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - 2016

We study American swaptions in the linear-rational (LR) term structure model introduced. The American swaption pricing problem boils down to an optimal stopping problem that is analytically tractable. It reduces to a free-boundary problem that we tackle by the local time-space calculus. We...

Persistent link: https://www.econbiz.de/10011516038